Strategy
Data as of Sunday, Mar 22, 2026
| Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return & Growth | |||||||||||||||
| Total return | +93.67% | Net profit | $936,696 | Gross profit | $754,471 | Gross loss | $551,733 | CAGR | +3.61% | Annualized return | +3.61% | Monthly average return | +0.28% | Median monthly return | -2.13% |
| Best month return | +6.34% | Worst month return | -8.88% | Rolling 1-month return | +11.22% | Log return CAGR | +0.49% | Compounded vs simple return difference | -97.22% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.04% | Average drawdown | +12.91% | Median drawdown | -9.13% | Drawdown duration (max) | 1072.3 days | Average drawdown duration | 38.1 days | Ulcer index | 13.94 | Pain index | 9.12 | Pain ratio | 11.76 |
| Drawdown volatility | 4.94 | Worst peak-to-trough loss | +24.04% | % time in drawdown | +87.46% | Drawdown area | 839.21 | Downside deviation | +13.83% | Semi-variance | 3.15 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.20 | Rolling 1-month Sharpe | 1.36 | Sortino ratio | 0.44 | Calmar ratio | 0.24 | Sterling ratio | 0.24 | Burke ratio | 1.07 | Return / volatility | 3.74 | Return / downside risk | 4.54 |
| Return / max drawdown | 3.44 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 23 | Win rate | +41.59% | Loss rate | +58.41% | Average win | +8.65% | Average loss | -3.94% | Win/Loss ratio | 2.20 | Expectancy | +1.00% | Profit factor | 1.71 |
| Payoff ratio | 2.20 | Best trade | +24.76% | Worst trade | -8.29% | Trade return standard deviation | +4.38% | Consecutive wins (max) | 3 | Consecutive losses (max) | 4 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.47% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +4.48% | Information ratio | -0.48 | Treynor ratio | 0.03 | ||||||||
Optimization data not available for this strategy. Run npm run pipeline or npm run pipeline:test to generate parameter grid results.
| Metric | Value |
|---|---|
| Total return | +23.60% |
| Net profit | $235,954 |
| Gross profit | $538,383 |
| Gross loss | $292,905 |
| CAGR | +4.34% |
| Annualized return | +4.34% |
| Monthly average return | +0.39% |
| Median monthly return | -1.60% |
| Best month return | -0.86% |
| Worst month return | -3.50% |
| Rolling 1-month return | +8.61% |
| Log return CAGR | -8.02% |
| Compounded vs simple return difference | -26.86% |
Performance metrics for each index symbol tested with this strategy.
| Index | Country | Return % | Sharpe | Sortino | Max DD % | Win Rate % | Trades | Profit Factor | Volatility % |
|---|---|---|---|---|---|---|---|---|---|
| Merval | Argentina | +1809.32% | 1.38 | 4.24 | +32.22% | +50.00% | 20 | 6.90 | +32.25% |
| S&P/ASX 200 | Australia | -8.49% | -0.22 | -0.29 | +16.70% | +32.00% | 25 | 0.79 | +8.03% |
| Bovespa | Brazil | +33.06% | 0.53 | 0.81 | +15.50% | +63.16% | 19 | 2.45 | +10.58% |
| TSX Composite | Canada | +13.14% | 0.30 | 0.41 | +19.26% | +46.15% | 26 | 1.53 | +8.24% |
| Euro Stoxx 50 | Europe | -6.37% | -0.14 | -0.18 | +19.44% | +32.00% | 25 | 0.88 | +9.54% |
| Euronext 100 | Europe | -10.64% | -0.26 | -0.34 | +19.01% | +35.71% | 28 | 0.76 | +8.58% |
| CAC 40 | France | -8.85% | -0.20 | -0.26 | +18.67% | +36.00% | 25 | 0.80 | +8.96% |
| DAX | Germany | -7.71% | -0.16 | -0.21 | +26.60% | +42.31% | 26 | 0.87 | +10.13% |
| Hang Seng | Hong Kong | -7.34% | -0.10 | -0.15 | +36.75% | +26.09% | 23 | 1.00 | +16.01% |
| BSE Sensex | India | +21.88% | 0.46 | 0.68 | +17.98% | +34.78% | 23 | 1.72 | +8.62% |
| Nifty 50 | India | +31.09% | 0.61 | 0.91 | +17.86% | +40.91% | 22 | 2.10 | +8.78% |
| Nikkei 225 | Japan | +22.30% | 0.31 | 0.47 | +22.78% | +38.46% | 26 | 1.56 | +13.04% |
| KOSPI | South Korea | +35.47% | 0.42 | 0.60 | +28.32% | +40.91% | 22 | 2.04 | +14.50% |
| Swiss Market | Switzerland | +12.62% | 0.30 | 0.42 | +9.24% | +45.45% | 22 | 1.73 | +7.99% |
| Taiwan Weighted | Taiwan | +73.31% | 0.95 | 1.62 | +13.81% | +63.64% | 22 | 3.40 | +11.29% |
| FTSE 100 | UK | -4.98% | -0.14 | -0.18 | +22.74% | +39.13% | 23 | 0.88 | +7.43% |
| CBOE Volatility Index | US | -97.47% | -0.87 | -0.86 | +98.97% | +19.05% | 21 | 0.30 | +96.92% |
| Dow Jones Industrial Average | US | +8.12% | 0.19 | 0.27 | +17.34% | +40.91% | 22 | 1.40 | +8.28% |
| NASDAQ Composite | US | +40.42% | 0.52 | 0.81 | +15.26% | +60.00% | 20 | 2.02 | +12.56% |
| Russell 2000 | US | -5.41% | -0.08 | -0.12 | +24.35% | +47.62% | 21 | 0.93 | +13.72% |
| S&P 500 | US | +23.60% | 0.44 | 0.67 | +11.95% | +39.13% | 23 | 1.84 | +9.47% |